Authors: Dette, Holger
Nagel, Eva-Renate
Neumeyer, Natalie
Title: A Note on Testing Symmetry of the Error Distribution in Linear Regression Models
Language (ISO): en
Abstract: In the classical linear regression model the problem of testing for symmetry of the error distribution is considered. The test statistic is a functional of the difference between the two empirical distribution functions of the estimated residuals and their counterparts with opposite signs. The weak convergence of the difference process to a Gaussian process is established. The covariance structure of this process depends heavily on the density of the error distribution, and for this reason the performance of a symmetric wild bootstrap procedure is discussed in asymptotic theory and by means of a simulation study.
Subject Headings: M-estimation
goodness-of-fit tests
testing for symmetry
empirical process of residuals
linear model
URI: http://hdl.handle.net/2003/4987
http://dx.doi.org/10.17877/DE290R-15048
Issue Date: 2003
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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